The Experts below are selected from a list of 49377 Experts worldwide ranked by ideXlab platform
Yuri Kabanov - One of the best experts on this subject based on the ideXlab platform.
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hedging under transaction costs in Currency Markets a continuous time model
Mathematical Finance, 2002Co-Authors: Yuri KabanovAbstract:We consider a general semimartingale model of a Currency Market with transaction costs. Assuming that the price process is continuous and the solvency cone is proper we prove a hedging theorem describing the set of initial endowments that allows the investor to hedge a contingent claim in various currencies by a self-financing portfolio.
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Hedging under Transaction Costs in Currency Markets: a Discrete-Time Model
Mathematical Finance, 2002Co-Authors: Freddy Delbaen, Yuri Kabanov, Esko ValkeilaAbstract:We consider a discrete‐time model of a Currency Market with transaction costs and give a description of initial endowments that allow the investor to hedge a contingent claim in various currencies by a self‐financing portfolio.
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Hedging and liquidation under transaction costs in Currency Markets
Finance and Stochastics, 1999Co-Authors: Yuri KabanovAbstract:We consider a general semimartingale model of a Currency Market with transaction costs and give a description of the initial endowments which allow to hedge a contingent claim in various currencies by a self-financing portfolio. As an application we obtain a result on the structure of optimal strategies for the problem of maximizing expected utility from terminal wealth.
Oleksiy Plastun - One of the best experts on this subject based on the ideXlab platform.
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The Day of the Week Effect in the Crypto Currency Market
Social Science Research Network, 2017Co-Authors: Guglielmo Maria Caporale, Oleksiy PlastunAbstract:This paper examines the day of the week effect in the crypto Currency Market using a variety of statistical techniques (average analysis, Student's t-test, ANOVA, the Kruskal-Wallis test, and regression analysis with dummy variables) as well as a trading simulation approach. Most crypto currencies (LiteCoin, Ripple, Dash) are found not to exhibit this anomaly. The only exception is BitCoin, for which returns on Mondays are significantly higher than those on the other days of the week. In this case the trading simulation analysis shows that there exist exploitable profit opportunities that can be interpreted as evidence against efficiency of the crypto Currency Market.
Akihiro Sato - One of the best experts on this subject based on the ideXlab platform.
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explanation of power law behavior of autoregressive conditional duration processes based on the random multiplicative process
Physical Review E, 2004Co-Authors: Akihiro SatoAbstract:: Autoregressive conditional duration (ACD) processes, which have the potential to be applied to power law distributions of complex systems found in natural science, life science, and social science, are analyzed both numerically and theoretically. An ACD(1) process exhibits the singular second order moment, which suggests that its probability density function (PDF) has a power law tail. It is verified that the PDF of the ACD(1) has a power law tail with an arbitrary exponent depending on a model parameter. On the basis of theory of the random multiplicative process a relation between the model parameter and the power law exponent is theoretically derived. It is confirmed that the relation is valid from numerical simulations. An application of the ACD(1) to intervals between two successive transactions in a foreign Currency Market is shown.
Ki-su Kim - One of the best experts on this subject based on the ideXlab platform.
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Switching intention to crypto-Currency Market: Factors predisposing some individuals to risky investment.
PloS one, 2020Co-Authors: Wei Sun, Alisher Tohirovich Dedahanov, Ho Young Shin, Ki-su KimAbstract:We investigate factors affecting individual investors' switching intention from traditional financial Market to crypto-Currency financial Market. By sampling factors of individual investors related with crypto-Currency (CC), the study applies structural equation modeling method (SEM) to investigate their effects on switching intention by integrating PPM and Reinforcement Sensitivity theories (RST) to form a pulling, pushing and mooring effects model. The investigation indicates that crypto-Currency Market can be regarded as a kind of beneficial supplement of tradition investment Market for those individual investors who are with high innovativeness, reward sensitivity, knowledge and perceived risk. This study proves that the individual investors are not only attracted by significant expected return from crypto-Currency but also relevant knowledge and risks disclosed by crypto-Currency Market regulators and distributors. The findings reinforce major roles for both Market regulators and individual investors in considering and providing insights for future policy, management and investigations.
Guglielmo Maria Caporale - One of the best experts on this subject based on the ideXlab platform.
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The Day of the Week Effect in the Crypto Currency Market
Social Science Research Network, 2017Co-Authors: Guglielmo Maria Caporale, Oleksiy PlastunAbstract:This paper examines the day of the week effect in the crypto Currency Market using a variety of statistical techniques (average analysis, Student's t-test, ANOVA, the Kruskal-Wallis test, and regression analysis with dummy variables) as well as a trading simulation approach. Most crypto currencies (LiteCoin, Ripple, Dash) are found not to exhibit this anomaly. The only exception is BitCoin, for which returns on Mondays are significantly higher than those on the other days of the week. In this case the trading simulation analysis shows that there exist exploitable profit opportunities that can be interpreted as evidence against efficiency of the crypto Currency Market.
